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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2013

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10013095613

Does China's iron ore futures market have price discovery function? : analysis based on VECM and State-space perspective

Ge, Yongbo; Cao, Tingting; Jiang, Ruchuan; Liu, Peide; … - In: Journal of business economics and management 20 (2019) 6, pp. 1083-1101

As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In … futures in October 2013,which has become the world's largest iron ore financial derivatives trading market now. Based on VECM …

Persistent link: https://www.econbiz.de/10012176079

The impact of exchange rate, oil price and gold price on the Kuwaiti stock market : a wavelet analysis

Ahmad Alrazni Alshammari; Altarturi, Basheer H. M.; … - In: European journal of comparative economics 17 (2020) 1, pp. 31-54

This paper examines the impact of the exchange rate, oil price and gold price on the Kuwaiti stock market using a wavelet analysis, namely, cross-wavelet coherency and partial cross-wavelet coherency. This method is used to test for nonlinear causality and decompose the data into various time...

Persistent link: https://www.econbiz.de/10012259839

Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization

Kaminsky, Graciela; Schmukler, Sergio L. - 2021

We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...

Persistent link: https://www.econbiz.de/10013318025

Idiosyncratic Volatility and Expected Returns at the Global Level

Umutlu, Mehmet - 2015

We investigate the existence and significance of a cross-sectional relation between idiosyncratic volatility and expected returns at the global level by introducing a global idiosyncratic volatility measure and globally diversified test assets. We find that the portfolios with the highest and...

Persistent link: https://www.econbiz.de/10013028948

Volatility Spillovers between Chinese and World Equity Markets

Zhou, Xiangyi - 2011

directional volatility spillovers between Chinese and world equity markets from February 1996 to December 2009, based on forecast …

Persistent link: https://www.econbiz.de/10013129969

Diversification Potential of ADRs, Country Funds, and Underlying Stocks Across Economic Conditions

Peterburgsky, Stanley - 2011

We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market indexes across various economic conditions. We find that,...

Persistent link: https://www.econbiz.de/10013134047

Interdependence, Contagion and Price Discovery : A Study of International Stock Markets

Wu, Lei - 2011

The contagion across capital markets is an important phenomenon in an increasingly integrated financial world. To …

Persistent link: https://www.econbiz.de/10013120722

Is World Stock Market Co-Movement Changing?

Blackburn, Douglas W. - 2012

We examine world stock market comovement for 23 countries over 30-years from 1981 to 2010 -- a period that includes … analysis is based on a generalized factor model that allows for country, regional, and world factors. We show that the commonly … used world Fama French factor model with the world value-weighted portfolio as a proxy for the world factor, has biased …

Persistent link: https://www.econbiz.de/10013108984

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10013169023